Blar i BI Open på forfatter "Van Dijk, Herman K."
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Bayesian Mode Inference for Discrete Distributions in Economics and Finance
Cross, Jamie L.; Hoogerheide, Lennart; Labonne, Paul; Van Dijk, Herman K. (CAMP Working Paper Series;11/2023, Working paper, 2023-06-27)Detecting heterogeneity within a population is crucial in many economic and financial applications. Econometrically, this requires a credible determination of multimodality in a given data distribution. We propose a ... -
Taylor Rules with Endogenous Regimes
Aastveit, Knut Are; Cross, Jamie; Furlanetto, Francesco; Van Dijk, Herman K. (CAMP Working Paper Series;04/2024, Working paper, 2024-05-07)The Fed’s policy rule switches during the different phases of the business cycle. This finding is established using a dynamic mixture model to estimate regime-dependent Taylor-type rules on US quarterly data from 1960 to ...